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Implications of real-time data for forecasting and modeling expectations

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  • Sharon Kozicki

Abstract

This note extends the analysis in Stark and Croushore (2001) with an emphasis on the importance of data vintage for survey forecasts and modeling expectations. For both of these types of empirical exercises, results suggest that the choice of latest available or real-time data is critical for variables subject to large level revisions, but almost irrelevant for variables subject to only small revisions. Other forecasting practices were examined, with some surprising results.

Suggested Citation

  • Sharon Kozicki, 2001. "Implications of real-time data for forecasting and modeling expectations," Research Working Paper RWP 01-12, Federal Reserve Bank of Kansas City.
    • Handle: RePEc:fip:fedkrw:rwp01-12
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    File URL: https://www.kansascityfed.org/documents/5409/pdf-RWP01-12.pdf
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    References listed on IDEAS

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    1. Stark, Tom & Croushore, Dean, 2002. "Forecasting with a real-time data set for macroeconomists," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 507-531, December.
    2. James H. Stock & Mark W.Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
    3. Kozicki, Sharon & Tinsley, P A, 1998. "Moving Endpoints and the Internal Consistency of Agents' Ex Ante Forecasts," Computational Economics, Springer;Society for Computational Economics, vol. 11(1-2), pages 21-40, April.
    4. Richard Clarida & Jordi Galí & Mark Gertler, 2000. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 115(1), pages 147-180.
    5. James H. Stock & Mark W. Watson, 2001. "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
    6. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
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    Cited by:

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    2. Tuliakova, I. R. & Chesnokova, M.S., 2014. "Modern Tools Of Product Promotion Of Military-Industrial Complex," Annals of marketing-mba, Department of Marketing, Marketing MBA (RSconsult), vol. 3, November.

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